A Simplification of the Matrix Beta Distribution for Combining Estimators
- 1 October 1978
- journal article
- Published by Taylor & Francis in Journal of the Operational Research Society
- Vol. 29 (10) , 1013-1016
- https://doi.org/10.1057/jors.1978.216
Abstract
The problem of estimating a simplex of weights with a direct probabilistic interpretation for combining a set of estimators, either forecasts or expert opinions on an uncertain quantity, is approached via the outperformance construct. Thus, each weight represents the probability that its estimator will perform best. These outperformance probability weights are derived from a generalization of the beta distribution, i.e. the Matrix Beta. A simplified procedure for estimating the outperformance probability weights from this distribution is presented.Keywords
This publication has 0 references indexed in Scilit: